Last out of the start gate, Sky stopped the clock on the 19.2 km stage from Vallee de Joux to Jurapac in 21min 19sec, narrowly ahead of Orica-GreenEDGE and five seconds quicker than Katusha.
Sky's Geraint Thomas will wear the leader's yellow jersey for the 168.1 km hilly second stage from Apples to Saint-Imier.
“We usually come second by a narrow margin so it was great to get the win today," Thomas said.
“The team time trial is something the team wants to target a bit more. We've always been up there but we've never really had much focus on it. We're looking to keep improving in that area so it's great to win."
The first team time trial on the Tour de Romandie since 2009 served as an ideal warm up for the peloton ahead of the Tour de France's ninth stage, on 9 July, in Brittany.
Orica-GreenEDGE replaced Garmin-Cannondale in the hot seat and waited as eight teams, including Sky, completed their runs.
The two teams were evenly matched for the whole 19.2km course, posting the same intermediate split time of 16min 09sec.
Orica-GreenEDGE were just as satisfied with their time trial performance, stating it sets them in good stead for the biggest race of the year.
"The start was good, the middle was good and the climb was good. No one under-performed. What we wanted to do we achieved, its just that Sky achieved it marginally better,"sport director Neil Stephens said.
"We have lost some pretty important time trials by less than a second but the fact is that we have won some pretty important time trials by less than a second as well.
"This one was one of the losses, but we are looking forward to getting a couple of team time trial wins in the belt throughout the year, one of them hopefully next month and another towards the end of the year."
Vincenzo Nibali's Astana finished 16 seconds behind while Nairo Quintana is already trailing by 40 seconds after a disappointing showing from Movistar.
Stage 1: 19.2km, Vallee de Joux - Jurapac
1 Sky 21min 19sec
3 Katusha 0:00:05
4 Etixx-QuickStep 0:00:14
5 Astana 0:00:17
6 BMC 0:00:19
7 FDJ.fr 0:00:22
8 IAM 0:00:24
9 Cannondale-Garmin 0:00:40
11 Lampre-Merida 0:00:41
12 Trek Factory Racing 0:00:42
13 Giant-Alpecin 0:00:50
14 Tinkoff-Saxo 0:00:55
16 Europcar 0:01:07
17 Lotto-Soudal 0:01:12
18 AG2R 0:01:22